The impact of extreme events on portfolio in financial risk management
© Springer International Publishing AG 2017. We use the concept of copula and extreme value theory to evaluate the impact of extreme events such as flooding, nuclear disaster, etc. on the industry index portfolio. A t copulas based on GARCH model is applied to explain a portfolio risk management wit...
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th-cmuir.6653943832-571222018-09-05T03:35:15Z The impact of extreme events on portfolio in financial risk management K. Chuangchid K. Autchariyapanitkul S. Sriboonchitta Computer Science © Springer International Publishing AG 2017. We use the concept of copula and extreme value theory to evaluate the impact of extreme events such as flooding, nuclear disaster, etc. on the industry index portfolio. A t copulas based on GARCH model is applied to explain a portfolio risk management with high-dimensional asset allocation. Finally, we calculate the condition Value-at-Risk (CVaR) with the hypothesis of t joint distribution to construct the potential frontier of the portfolio during the times of crisis. 2018-09-05T03:35:15Z 2018-09-05T03:35:15Z 2017-02-01 Book Series 1860949X 2-s2.0-85012894524 10.1007/978-3-319-50742-2_42 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012894524&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57122 |
| institution |
Chiang Mai University |
| building |
Chiang Mai University Library |
| country |
Thailand |
| collection |
CMU Intellectual Repository |
| topic |
Computer Science |
| spellingShingle |
Computer Science K. Chuangchid K. Autchariyapanitkul S. Sriboonchitta The impact of extreme events on portfolio in financial risk management |
| description |
© Springer International Publishing AG 2017. We use the concept of copula and extreme value theory to evaluate the impact of extreme events such as flooding, nuclear disaster, etc. on the industry index portfolio. A t copulas based on GARCH model is applied to explain a portfolio risk management with high-dimensional asset allocation. Finally, we calculate the condition Value-at-Risk (CVaR) with the hypothesis of t joint distribution to construct the potential frontier of the portfolio during the times of crisis. |
| format |
Book Series |
| author |
K. Chuangchid K. Autchariyapanitkul S. Sriboonchitta |
| author_facet |
K. Chuangchid K. Autchariyapanitkul S. Sriboonchitta |
| author_sort |
K. Chuangchid |
| title |
The impact of extreme events on portfolio in financial risk management |
| title_short |
The impact of extreme events on portfolio in financial risk management |
| title_full |
The impact of extreme events on portfolio in financial risk management |
| title_fullStr |
The impact of extreme events on portfolio in financial risk management |
| title_full_unstemmed |
The impact of extreme events on portfolio in financial risk management |
| title_sort |
impact of extreme events on portfolio in financial risk management |
| publishDate |
2018 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012894524&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57122 |
| _version_ |
1681424819687522304 |